Results 291 to 300 of about 18,304 (313)

Spatial Price Transmission and Dynamic Volatility Spillovers in the Global Grain Markets: A TVP-VAR-Connectedness Approach. [PDF]

Foods
Xue H, Du Y, Gao Y, Su WH.
europepmc   +1 more source

Heterogeneous macroeconomic factors' effects on stocks across sizes, styles, and sectors in the South Korean market. [PDF]

PLoS One
Cho C, Yang J, Jang B.
europepmc   +1 more source

Evaluating GARCH models [PDF]

Journal of Econometrics, 2002
In this paper, a unified framework for testing the adequacy of an estimated GARCH model is presented. Parametric Lagrange multiplier (LM) or LM type tests of no ARCH in standardized errors, linearity, and parameter constancy are proposed. The asymptotic null distributions of the tests are standard, which makes application easy.
Stefan Lundbergh, Timo Teräsvirta
openaire   +3 more sources

Glossary to ARCH (GARCH) [PDF]

SSRN Electronic Journal, 2008
The literature on modeling and forecasting time-varying volatility is ripe with acronyms and abbreviations used to describe the many different parametric models that have been put forth since the original linear ARCH model introduced in the seminal Nobel Prize winning paper by Engle (1982).
Tim Bollerslev, Tim Bollerslev
openaire   +2 more sources

On the Continuous Limit of GARCH [PDF]

SSRN Electronic Journal, 2005
GARCH processes constitute the major area of time series variance analysis, hence the limit of these processes is of considerable interest for continuous time volatility modelling. The continuous time limit of the GARCH(1,1) model is fundamental for limits of other GARCH processes, yet it has been the point of much debate between econometricians.
Carol Alexandra, Emese Lazar
openaire   +2 more sources

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GARCH and Volatility swaps

Quantitative Finance, 2004
This article discusses the valuation and hedging of volatility swaps within the frame of a GARCH(1,1) stochastic volatility model. First we use a general and flexible partial differential equation (PDE) approach to determine the first two moments of the realized variance in a continuous or discrete context.
Espen Gaarder Haug, Alireza Javaheri, Paul Wilmott   +2 more
openaire   +2 more sources

GARCH Gamma [PDF]

The Journal of Derivatives, 1995
This paper addresses the issue of hedging option positions when the underlying asset exhibits stochastic volatility. By parameterizing the volatility process as GARCH, and utilizing risk- neutral valuation, we estimate hedging parameters (delta and gamma) using Monte-Carlo simulation.
Robert F. Engle, Joshua V. Rosenberg
openaire   +1 more source